Assume that Holmen B is traded at 408 euro and has an annual standard deviation of 22.3%. The annual standard deviation corresponds to an annual increase of 25% or an annual decrease of -20%. The risk-free interest rate is 2% on an annual basis. In 6 months, Holmen B will have its annual dividend of 15 euro.

a) What is the value of a European call option that gives you the right to buy Holmen B for 466 euro in 1 year.

b) What is the value of a European put option that gives you the right to sell Holmen B for 466 euro in 1 year.

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